99-024/4 - Bayes Estimates of Markov Trends in possibly Cointegrated Series: An Application to US Consumption and Income

• Authors
  Richard Paap, RIBES; Herman K. van Dijk, Econometric Institute, Erasmus University Rotterdam
• Publication date
  March 31, 1999

• Keywords
  multivariate Markov trend; cointegration; MCMC; permanent income hypothesis